Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.4714 |
| Annualized Std Dev | 0.5750 |
| Annualized Sharpe (Rf=0%) | -0.8197 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3112.0000 |
| NAs | 1.0000 |
| Minimum | -0.2724 |
| Quartile 1 | -0.0174 |
| Median | -0.0025 |
| Arithmetic Mean | -0.0019 |
| Geometric Mean | -0.0025 |
| Quartile 3 | 0.0109 |
| Maximum | 0.3382 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | -0.0031 |
| UCL Mean (0.95) | -0.0006 |
| Variance | 0.0013 |
| Stdev | 0.0362 |
| Skewness | 0.4594 |
| Kurtosis | 10.9506 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0246 |
| Gain Deviation | 0.0306 |
| Loss Deviation | 0.0257 |
| Downside Deviation (MAR=210%) | 0.0300 |
| Downside Deviation (Rf=0%) | 0.0255 |
| Downside Deviation (0%) | 0.0255 |
| Maximum Drawdown | 0.9998 |
| Historical VaR (95%) | -0.0497 |
| Historical ES (95%) | -0.0834 |
| Modified VaR (95%) | -0.0486 |
| Modified ES (95%) | -0.0486 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-17 | NA | -0.9998 | 3102 | 3099 | NA |
| 2008-11-13 | 2008-11-13 | 2008-11-19 | -0.2035 | 5 | 1 | 4 |
| 2008-11-07 | 2008-11-07 | 2008-11-11 | -0.0749 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 25.2 | -4.8 | 19.2 |
| 2009 | 6.1 | 5.2 | -6.1 | -2 | -7.6 | -1.1 | -0.4 | 6.8 | 7.8 | 8.1 | -3.5 | 2.8 | 15.4 |
| 2010 | -4.6 | -3.2 | -2.1 | 5 | 5.5 | 0.8 | -0.3 | -9.1 | -1.3 | 0.1 | -6.4 | -0.1 | -15.5 |
| 2011 | -4.9 | 5 | -1.4 | -0.8 | 6.6 | -4.5 | 1.3 | 3.6 | 7.3 | 8.4 | 0 | 1.1 | 22.6 |
| 2012 | -3.1 | -2.8 | -1 | -1.8 | 7.8 | -7.3 | 0.2 | -1.6 | -0.8 | -3.4 | 0.3 | -5.3 | -17.8 |
| 2013 | -3 | -1.1 | 0.7 | 2.4 | 4.3 | -2.4 | -3.3 | 1 | -2.3 | -0.8 | 0.4 | -1.4 | -5.5 |
| 2014 | 2 | -0.7 | -2 | 0.1 | -0.4 | -2 | 0.9 | -0.9 | 4.1 | -3.3 | 2.1 | 2.9 | 2.5 |
| 2015 | 3.8 | 1 | 0.9 | -3.2 | -0.6 | -2.3 | 0.3 | 9.1 | -0.9 | 1.5 | -2.9 | 3 | 9.6 |
| 2016 | 0.2 | -7.4 | -1.9 | 1.6 | -0.4 | -0.5 | 0.4 | -0.2 | -2.2 | 1.9 | 1 | 1 | -6.7 |
| 2017 | -0.1 | -4.1 | 0.7 | -0.5 | -2.3 | -0.4 | -0.7 | -0.6 | -1 | -0.4 | 0.5 | 1 | -7.8 |
| 2018 | 0.3 | 3.9 | -4.3 | -0.7 | -3.2 | -0.3 | 0.4 | 0 | -1.2 | -3.1 | -2 | -3 | -12.6 |
| 2019 | -0.1 | -2.1 | -3.4 | 2.2 | 3.9 | -2.5 | 2.6 | 0.3 | 3.7 | -2.7 | 1 | -0.8 | 1.7 |
| 2020 | 5.5 | 1.6 | 13.4 | 7.9 | -1.4 | -1.9 | -2.4 | -3 | -1.7 | 3.4 | -3.2 | -1.8 | 16 |
| 2021 | -4.7 | -7.3 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -11.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
